/**
* Creates the named CDX from effective, maturity, coupon, IR curve name, credit curve name set,
* and their weights.
*
* @param dtEffective JulianDate Effective
* @param dtMaturity JulianDate Maturity
* @param dblCoupon Coupon
* @param strIR IR curve name
* @param astrCC credit curve name
* @param adblWeight Credit Component Weights
* @param strName CDX name
* @return BasketDefaultSwap
*/
public static final org.drip.product.definition.BasketProduct MakeCDX(
final org.drip.analytics.date.JulianDate dtEffective,
final org.drip.analytics.date.JulianDate dtMaturity,
final double dblCoupon,
final java.lang.String strIR,
final java.lang.String[] astrCC,
final double[] adblWeight,
final java.lang.String strName) {
if (null == dtEffective
|| null == dtMaturity
|| !org.drip.math.common.NumberUtil.IsValid(dblCoupon)
|| null == strIR
|| strIR.isEmpty()
|| null == strName
|| strName.isEmpty()
|| null == astrCC
|| 0 == astrCC.length
|| null == adblWeight
|| 0 == adblWeight.length
|| adblWeight.length != astrCC.length) return null;
org.drip.product.definition.CreditDefaultSwap aCDS[] =
new org.drip.product.definition.CreditDefaultSwap[astrCC.length];
for (int i = 0; i < astrCC.length; ++i) {
try {
aCDS[i] =
org.drip.product.creator.CDSBuilder.CreateCDS(
dtEffective, dtMaturity, dblCoupon, strIR, 0.40, astrCC[i], strIR, true);
} catch (java.lang.Exception e) {
e.printStackTrace();
return null;
}
}
try {
return new org.drip.product.credit.CDSBasket(
dtEffective, dtMaturity, dblCoupon, aCDS, adblWeight, strName);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
private static final void CDSEODMeasuresAPISample() {
JulianDate dtEOD = JulianDate.CreateFromYMD(2011, 7, 21); // EOD
/*
* Create a spot starting CDS based off of a specific credit curve
*/
CreditDefaultSwap cds = CDSBuilder.CreateSNAC(JulianDate.Today(), "5Y", 0.1, "813796");
/*
* Calculate the EOD CDS measures
*/
CaseInsensitiveTreeMap<Double> mapEODCDSMeasures =
CreditAnalytics.GetEODCDSMeasures(cds, dtEOD);
/*
* Display the EOD CDS measures
*/
for (Map.Entry<String, Double> me : mapEODCDSMeasures.entrySet())
System.out.println(me.getKey() + " => " + me.getValue());
}
private static final void CDSAPISample() throws Exception {
JulianDate dtStart = JulianDate.Today();
/*
* Flat Discount Curve
*/
DiscountCurve dc = DiscountCurveBuilder.CreateFromFlatRate(dtStart, "USD", 0.05);
/*
* Flat Credit Curve
*/
CreditCurve cc = CreditCurveBuilder.FromFlatHazard(dtStart.getJulian(), "CC", "USD", 0.02, 0.4);
/*
* Component Market Parameters built from the Discount and the Credit Curves
*/
ComponentMarketParams cmp = ComponentMarketParamsBuilder.MakeCreditCMP(dc, cc);
/*
* Create an SNAC CDS
*/
CreditDefaultSwap cds = CDSBuilder.CreateSNAC(dtStart, "5Y", 0.1, "CC");
/*
* Valuation Parameters
*/
ValuationParams valParams =
ValuationParams.CreateValParams(dtStart, 0, "", Convention.DR_ACTUAL);
/*
* Standard Credit Pricer Parameters (check javadoc for details)
*/
PricerParams pricerParams = PricerParams.MakeStdPricerParams();
System.out.println(
"Acc Start Acc End Pay Date Index Spread Cpn DCF Pay01 Surv01");
System.out.println(
"--------- --------- --------- ------ ------ -------- --------- --------");
/*
* CDS Coupon Cash Flow
*/
for (CashflowPeriodCurveFactors p : cds.getCouponFlow(valParams, pricerParams, cmp))
System.out.println(
JulianDate.fromJulian(p.getAccrualStartDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(p.getAccrualEndDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(p.getPayDate())
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getIndexRate(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getSpread(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dc.df(p.getPayDate()), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(cc.getSurvival(p.getPayDate()), 1, 4, 1.));
System.out.println(
"Loss Start Loss End Pay Date Cpn Notl Rec EffDF StartSurv EndSurv");
System.out.println(
"---------- -------- -------- --- ---- --- ----- --------- -------");
/*
* CDS Loss Cash Flow
*/
for (LossPeriodCurveFactors dp : cds.getLossFlow(valParams, pricerParams, cmp))
System.out.println(
JulianDate.fromJulian(dp.getStartDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(dp.getEndDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(dp.getPayDate())
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveNotional(), 1, 0, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveRecovery(), 1, 2, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveDF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.startSurvival(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.endSurvival(), 1, 4, 1.));
}
private static void CreateCreditCurveFromCDSInstruments() throws Exception {
JulianDate dtStart = JulianDate.Today();
/*
* Populate the instruments, the calibration measures, and the calibration quotes
*/
double[] adblQuotes = new double[5];
String[] astrCalibMeasure = new String[5];
CreditDefaultSwap[] aCDS = new CreditDefaultSwap[5];
for (int i = 0; i < 5; ++i) {
/*
* The Calibration CDS
*/
aCDS[i] = CDSBuilder.CreateSNAC(dtStart, (i + 1) + "Y", 0.01, "CORP");
/*
* Calibration Quote
*/
adblQuotes[i] = 100.;
/*
* Calibration Measure
*/
astrCalibMeasure[i] = "FairPremium";
}
/*
* Flat Discount Curve
*/
DiscountCurve dc = DiscountCurveBuilder.CreateFromFlatRate(dtStart, "USD", 0.05);
/*
* Create the Credit Curve from the give CDS instruments
*/
CreditCurve cc =
CreditScenarioCurveBuilder.CreateCreditCurve(
"CORP", dtStart, aCDS, dc, adblQuotes, astrCalibMeasure, 0.4, false);
/*
* Valuation Parameters
*/
ValuationParams valParams =
ValuationParams.CreateValParams(dtStart, 0, "", Convention.DR_ACTUAL);
/*
* Standard Credit Pricer Parameters (check javadoc for details)
*/
PricerParams pricerParams = PricerParams.MakeStdPricerParams();
/*
* Re-calculate the input calibration measures for the input CDSes
*/
for (int i = 0; i < aCDS.length; ++i)
System.out.println(
"\t"
+ astrCalibMeasure[i]
+ "["
+ i
+ "] = "
+ aCDS[i].calcMeasureValue(
valParams,
pricerParams,
ComponentMarketParamsBuilder.CreateComponentMarketParams(
dc, null, null, cc, null, null, null),
null,
astrCalibMeasure[i]));
}